Covariance is of universal prevalence across various disciplines within
statistics. This package aims at providing a rich collection of
geometric and statistical tools for a variety of inferences on
covariance structures as well as its inverse called precision
matrix. See the package help file by help("package-CovTools")
in R
console for the list of available functions.
You can install the released version of CovTools from
CRAN with:
install.packages(" CovTools" )
or the development version from github:
# # install.packages("devtools")
# # library(devtools)
devtools :: install_github(" kisungyou/CovTools" )
List of Available Methods
We offer various methods for covariance and symmetric positive-definite
matrices. Below is the list of functions implemented in our package.
(0) Elementary Operations
function name
description
CovDist
computes pairwise distance for symmetric positive-definite matrices
CovMean
estimate mean/average covariance matrix
(1) Estimation : Covariance
function name
authors
description
CovEst.adaptive
Cai and Liu (2011)
adaptive thresholding
CovEst.hard
Bickel and Levina (2008)
hard thresholding
CovEst.hardPD
Fan et al. (2013)
hard thresholding under positive-definiteness constraint
CovEst.nearPD
Qi and Sun (2006)
nearest positive-definite matrix projection
CovEst.soft
Antoniadis and Fan (2001)
soft thresholding
CovEst.2003LW
Ledoit and Wolf (2003)
linear shrinkage estimation
CovEst.2010OAS
Chen et al. (2010)
oracle approximation shrinkage
CovEst.2010RBLW
Chen et al. (2010)
Rao-Blackwell Ledoit-Wolf estimation
(2) Estimation : Precision
function name
authors
description
PreEst.2014An
An et al. (2014)
banded precision estimation via bandwidth test
PreEst.2014Banerjee
Banerjee and Ghosal (2014)
Bayesian estimation of a banded precision matrix
PreEst.2017Lee
Lee and Lee (2017)
Bayesian estimation of a banded precision matrix
PreEst.glasso
Friedman et al. (2008)
graphical lasso
(3) Hypothesis Test : 1-sample
function name
authors
description
BCovTeset1.mxPBF
Lee et al. (2018)
Bayesian test using Maximum Pairwise Bayes Factor
CovTest1.2013Cai
Cai and Ma (2013)
Test by Cai and Ma
CovTest1.2014Srivastava
Srivastava et al. (2014)
Test by Srivastava, Yanagihara, and Kubokawa
(4) Hypothesis Test : 2-sample
function name
authors
description
CovTest2.2013Cai
Cai and Ma (2013)
Test by Cai and Ma
(5) Hypothesis Test : 1-sample Diagonal
function name
authors
description
BDiagTest1.mxPBF
Lee et al. (2018)
Bayesian Test using Maximum Pairwise Bayes Factor
DiagTest1.2011Cai
Cai and Jiang (2011)
Test by Cai and Jiang
DiagTest1.2015Lan
Lan et al. (2015)
Test by Lan, Luo, Tsai, Wang, and Yang